Narrow search
Showing 1 - 10 of 189
Cover Image
Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2020
Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors'' as hedged creditors have less … the bankruptcy code in Germany, that effectively removes their potential impact on CDS firms. Using a unique dataset on … bank-firm CDS net notional and credit exposures we find that the probability of default for firms with CDS traded on them …
Persistent link: https://www.econbiz.de/10012181510
Cover Image
Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …
Persistent link: https://www.econbiz.de/10012487672
Cover Image
Lemons and money market?
Ewerhart, Christian; Feubli, Patricia - 2010
This paper identifies simple conditions for monotone comparative statics of a unique equilibrium in the Akerlof-Wilson model. Separate conditions apply to trade volume and price. Trade volume increases when supply becomes both stronger and more elastic. In contrast, price decreases when supply...
Persistent link: https://www.econbiz.de/10003973048
Cover Image
Optimal fund menus
Cvitanić, Jakša; Hugonnier, Julien - 2018
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...
Persistent link: https://www.econbiz.de/10011900225
Cover Image
News about zero-leverage firms
Geelen, Thomas A. - 2016
I develop a dynamic model of financing decisions and optimal debt maturity choice in which creditors face adverse selection and learn about the firm's quality from news. In equilibrium, shareholders may choose to postpone debt issuance to reduce adverse selection and improve the pricing of newly...
Persistent link: https://www.econbiz.de/10011626255
Cover Image
Aggregate investment externalities and macroprudential regulation
Gersbach, Hans; Rochet, Jean-Charles - 2012
Evidence suggests that banks tend to lend a lot during booms, and very little during recessions. We propose a simple explanation for this phenomenon. We show that, instead of dampening productivity shocks, the banking sector tends to exacerbate them, leading to excessive fluctuations of credit,...
Persistent link: https://www.econbiz.de/10009558435
Cover Image
Trading disclosure requirements and market quality tradeoffs
Mele, Antonio; Sangiorgi, Francesco - 2020 - This version: July 13, 2020
We analyze the effects of trading disclosure requirements in markets with insider traders and professional investors. The insiders garble their trading throughout a mixed strategy. A number of differentially informed professional investors acquire information and contribute to increased mar- ket...
Persistent link: https://www.econbiz.de/10012421295
Cover Image
A deep learning approach to estimate forward default intensities
Divernois, Marc-Aurèle - 2020 - Preliminary draft
This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities … default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by …
Persistent link: https://www.econbiz.de/10012419329
Cover Image
Unintended consequences of the global derivatives market reform
Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020
We investigate regulatory arbitrage during the G20's global derivatives market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central...
Persistent link: https://www.econbiz.de/10012179682
Cover Image
Asymmetric information and adverse selection in Mauritian slave auctions
Dionne, Georges; St.-Amour, Pascal; Vencatachellum, Désiré - 2008
Information asymmetry is a necessary prerequisite for testing adverse selection. This paper applies this sequence of tests to Mauritian slave auctions. Dynamic auction theory with private value highlights more aggressive bidding by uninformed bidders and higher prices when an informed...
Persistent link: https://www.econbiz.de/10003966182